[R] Simulation of Multivariate Fractional Gaussian Noise and Fractional Brownian Motion

[Kjetil Halvorsen]

What you can do to find out is to type into your R session
RSiteSearch("multivariate fractional gaussian")

That seems to give some usefull results.

Kjetil

On Tue, Feb 8, 2011 at 1:51 PM, Wonsang You <you at ifn-magdeburg.de> wrote:
>
> Dear R Helpers,
>
> I have searched for any R package or code for simulating multivariate
> fractional Brownian motion (mFBM) or multivariate fractional Gaussian noise
> (mFGN) when a covariance matrix are given. Unfortunately, I could not find
> such a package or code.
> Can you suggest any solution for multivariate FBM and FGN simulation? Thank
> you for your help.
>
> Best Regards,
> Ryan
>
>
> -----
> Wonsang You
> Leibniz Institute for Neurobiology
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